py-as-zhong/exchange/coinex_usdt_swap_rest.py

import random
import aiohttp
import time
import asyncio
import zlib
import json, ujson
import hmac
import base64
import hashlib
import traceback
import urllib
from urllib import parse
from urllib.parse import urljoin
import datetime, sys
from urllib.parse import urlparse
import logging, logging.handlers
import utils
import logging, logging.handlers
import model
from decimal import Decimal

def empty_call(msg):
    print(f'空的回调函数 {msg}')


class CoinExUsdtSwapRest:

    def __init__(self, params:model.ClientParams, colo=0):
        if colo:
            print('不支持colo高速线路')
            self.HOST = 'https://api.coinex.com'
        else:
            self.HOST = 'https://api.coinex.com'
        self.params = params
        self.name = self.params.name
        self.base = self.params.pair.split('_')[0].upper()
        self.quote = self.params.pair.split('_')[1].upper()
        self.symbol = self.base + self.quote
        self._SESSIONS = dict()
        self.logger = self.get_logger()
        self.callback = {
            "onMarket":empty_call,
            "onPosition":empty_call,
            "onOrder":empty_call,
            "onEquity":empty_call,
            "onTicker":empty_call,
            "onDepth":empty_call,
            "onExit":empty_call,
            }
        self.exchange_info = dict()
        self.tickSize = None
        self.stepSize = None
        self.delays = []
        self.max_delay = 0
        self.avg_delay = 0
        self.proxy = None
        if 'win' in sys.platform:
            self.proxy = self.params.proxy
        self.logger = self.get_logger()
        self.mp_from_rest = None
        self.stop_flag = 0
        self.coin_value = 0.0
        self.cash_value = 0.0
        self.min_trade_amount = 0.0
        #### 指定发包ip
        iplist = utils.get_local_ip_list()
        self.ip = iplist[int(self.params.ip)]
    
    def get_logger(self):
        logger = logging.getLogger(__name__)
        logger.setLevel(logging.DEBUG)
        # log to txt
        formatter = logging.Formatter('[%(asctime)s] - %(levelname)s - %( message)s')
        handler = logging.handlers.RotatingFileHandler(f"log.log",maxBytes=1024*1024)
        handler.setLevel(logging.DEBUG)
        handler.setFormatter(formatter)
        logger.addHandler(handler)
        return logger

    def get_logger(self):

        logger = logging.getLogger(__name__)
        logger.setLevel(logging.DEBUG)
        # log to txt
        formatter = logging.Formatter('[%(asctime)s] - %(levelname)s - %(message)s')
        handler = logging.handlers.RotatingFileHandler("log.log",maxBytes=1024*1024,encoding='utf-8')
        handler.setLevel(logging.DEBUG)
        handler.setFormatter(formatter)
        # log to console
        console = logging.StreamHandler()
        console.setLevel(logging.WARNING)
        logger.addHandler(handler)
        logger.addHandler(console)
        return logger

    def _get_session(self, url):
        parsed_url = urlparse(url)
        key = parsed_url.netloc or parsed_url.hostname
        if key not in self._SESSIONS:
            tcp = aiohttp.TCPConnector(limit=50,keepalive_timeout=120,verify_ssl=False,local_addr=(self.ip,0))
            session = aiohttp.ClientSession(connector=tcp)
            self._SESSIONS[key] = session
        return self._SESSIONS[key]

    def get_sign(self, params, secret_key):
        sort_params = params
        data = []
        for item in sort_params:
            data.append(item + '=' + str(params[item]))
        str_params = "{0}&secret_key={1}".format('&'.join(data), secret_key)
        token = hashlib.sha256(str_params.encode("utf8")).hexdigest()
        return token

    async def _request(self, method, uri, body=None, params=None, auth=False):
        url = urljoin(self.HOST, uri)
        headers = {}
        if auth:
            if method in ['GET','DELETE']:
                params['timestamp'] = int(time.time()*1000)
                headers = {
                    'Authorization':self.get_sign(params, self.params.secret_key),
                    'Content-Type': 'application/json; charset=utf-8',
                    'Accept': 'application/json',
                    'User-Agent': 'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/60.0.3112.90 Safari/537.36',
                    "AccessId":self.params.access_key
                }
            elif method == 'POST':
                body['timestamp'] = int(time.time()*1000)
                headers = {
                    'Authorization':self.get_sign(body, self.params.secret_key),
                    'Content-Type': 'application/json; charset=utf-8',
                    'Accept': 'application/json',
                    'User-Agent': 'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/60.0.3112.90 Safari/537.36',
                    "AccessId":self.params.access_key
                }
        # 发起请求
        session = self._get_session(url)
        timeout = aiohttp.ClientTimeout(10)
        msg = "rest请求记录" + str(method) + str(url) + str(params) + str(body)
        self.logger.debug(msg)
        try:
            start_time = time.time()
            if method == "GET":
                response = await session.get(url, params=params, headers=headers, timeout=timeout, proxy=self.proxy)
            elif method == "POST":
                response = await session.post(url, data=body, headers=headers, timeout=timeout, proxy=self.proxy)
            elif method == "DELETE":
                response = await session.delete(url, params=params, data=body, headers=headers, timeout=timeout, proxy=self.proxy)
            code = response.status
            res = await response.json(content_type=None) 
            delay = int(1000*(time.time() - start_time))
            self.delays.append(delay)
            self.get_delay_info()
            res_msg = msg + f' 回报 {res}'
            self.logger.debug(res_msg)
            if code not in (200, 201, 202, 203, 204, 205, 206) or res['code'] not in (0,200):
                print(f'URL:{url} PARAMS:{params} body:{body} ERROR:{res}')
                return None, res
            return res, None
        except Exception as e:
            print(f'{self.name} rest 请求出错', str(e))
            self.logger.error(f'请求错误 {msg}'+str(e))
            self.logger.error(traceback.format_exc())
            return None, e

    async def get_position(self):
        response, error = await self._request('GET', '/perpetual/v1/position/pending', params={"market":self.symbol}, auth=1)
        if error:
            print(error)
        if response:
            position = model.Position()
            for i in response['data']:
                side = i['side']
                pos = float(i['amount'])
                price = float(i['open_price'])
                if side == 1:
                    position.shortPos = pos
                    position.shortAvg = price
                elif side == 2:
                    position.longPos = pos
                    position.longAvg = price
            return position

    async def buy_token(self):
        '''买入平台币'''
        pass

    async def check_position(self, hold_coin=0.0):
        '''
            现货交易  已支持全品种
        '''
        try:
            #######################
            self.logger.info("清空挂单")
            params = {
                'market':self.symbol,
                'side':0,
            }
            response, error = await self._request('POST', '/perpetual/v1/order/cancel_all', body=params, auth=1)
            if error:
                self.logger.info(error)
            #############################
            self.logger.info("清空仓位")
            res, err = await self._request('GET', '/perpetual/v1/position/pending', params={}, auth=1)
            if err:
                self.logger.info(err)
            if res:
                for i in res['data']:
                    if abs(float(i['close_left'])) > 0.0:
                        params = {
                            "market":i['market'],
                            "position_id":i['position_id'],
                            # "amount":i["amount"]
                        }
                        response, error = await self._request('POST', '/perpetual/v1/order/close_market', body=params, auth=1)
                        if response:
                            self.logger.info(response)
                        if error:
                            self.logger.info(error)
                            await asyncio.sleep(1)
                            params = {
                                "market":i['market'],
                                "position_id":i['position_id'],
                            }
                            response, error = await self._request('POST', '/perpetual/v1/position/market_close', body=params, auth=1)
                            self.logger.info(response)
                            self.logger.info(error)
            #######################        
        except:
            self.logger.error("清仓程序执行出错")
            self.logger.error(traceback.format_exc())
        return

    async def take_order(self, symbol, amount, origin_side, price, cid="", order_type='limit'):
        ''' 
            coinex swap 平仓需考虑最小下单量 只能通过close_position和position_id来平仓
        '''
        if origin_side =='kd':
            side = "2"
        elif origin_side =='pd':
            side = "1"
        elif origin_side =='kk':
            side = "1"
        elif origin_side =='pk':
            side = "2"
        else:
            print("合约不允许此交易方向")
            return None
        if symbol not in self.exchange_info:
            await self.before_trade()
            # amount = float(Decimal(str(amount//self.exchange_info[symbol].stepSize))*Decimal(str(self.exchange_info[symbol].stepSize)))
            # price = float(Decimal(str(price//self.exchange_info[symbol].tickSize))*Decimal(str(self.exchange_info[symbol].tickSize)))
            amount = utils.fix_amount(amount, self.exchange_info[symbol].stepSize)
            price = utils.fix_price(price, self.exchange_info[symbol].tickSize)
        if float(amount) <= self.min_trade_amount:
            # self.logger.error(f'下单参数错误 amount:{amount}')
            order_event = dict()
            order_event['status'] = "REMOVE"
            order_event['filled_price'] = 0.0                
            order_event['fee'] = 0.0
            order_event['filled'] = 0.0
            order_event['client_id'] = cid
            self.callback["onOrder"](order_event)
            return None
        if float(price) <= 0.0:
            self.logger.error(f'下单参数错误 price:{price}')
            order_event = dict()
            order_event['status'] = "REMOVE"
            order_event['filled_price'] = 0.0                
            order_event['fee'] = 0.0
            order_event['filled'] = 0.0
            order_event['client_id'] = cid
            self.callback["onOrder"](order_event)
            return None
        params = {
            'client_id':cid,
            'market': symbol,
            'amount':utils.num_to_str(amount, self.exchange_info[symbol].stepSize),
            'side': side,
            'price':utils.num_to_str(price, self.exchange_info[symbol].tickSize), 
        }
        if self.params.debug == 'True':
            return await asyncio.sleep(0.1)
        else:
            # 发单
            if order_type == 'limit':
                response, error = await self._request('POST', '/perpetual/v1/order/put_limit', body=params, auth=1)
            elif order_type == 'market':
                response, error = await self._request('POST', '/perpetual/v1/order/put_market', body=params, auth=1)
            # 再更新
            if response:
                # 增加新的
                if 'data' in response:
                    order_event = dict()
                    order_event['status'] = "NEW"
                    order_event['client_id'] = params["client_id"]
                    order_event['order_id'] = response['data']["order_id"]
                    self.callback["onOrder"](order_event)
            if error:
                # coinex swap 有时候返回错误也下单成功 很危险
                order_event = dict()
                order_event['status'] = "REMOVE"
                order_event['filled_price'] = 0.0                
                order_event['fee'] = 0.0
                order_event['filled'] = 0.0
                order_event['client_id'] = params["client_id"]
                self.callback["onOrder"](order_event)
        return response
    
    async def cancel_order(self, order_id=None, client_id=None):
        if order_id:
            response, error = await self._request('POST', f'/perpetual/v1/order/cancel', body={'market':self.symbol,'order_id':order_id}, auth=1)
        elif client_id:
            response, error = await self._request('POST', f'/perpetual/v1/order/cancel', body={'market':self.symbol,'order_id':client_id}, auth=1)
        else:
            raise Exception("撤单出错 没指定订单号")
        if response:
            self.logger.debug(f'撤单回报 {response}')
            # order_event = dict()
            # order_event['status'] = "REMOVE"
            # order_event['filled_price'] = float(response['data']['price'])            
            # order_event['fee'] = float(response['data']["deal_fee"])
            # order_event['filled'] = float(response['data']['amount']) - float(response['data']['left'])
            # order_event['client_id'] = response['data']["client_id"]
            # self.callback["onOrder"](order_event)
        if error:
            print("撤单失败",error)
            self.logger.error(error)
        return response
    
    async def check_order(self, order_id=None, client_id=None):
        if order_id:
            response, error = await self._request('GET', f'/perpetual/v1/order/status', params={'market':self.symbol, 'order_id':order_id}, auth=1)
        elif client_id:
            response, error = await self._request('GET', f'/perpetual/v1/order/status', params={'market':self.symbol, 'order_id':client_id}, auth=1)
        else:
            return
        if response:
            self.logger.debug(f'查单回报 {response}')
            if response['data']:
                order_event = dict()
                if response["data"]['status'] in ['cancel','done']:
                    order_event['status'] = "REMOVE"
                else:
                    order_event['status'] = "NEW"
                order_event['price'] = float(response["data"]["price"])
                order_event['amount'] = float(response["data"]["amount"])
                order_event['filled'] = float(response["data"]["amount"])-float(response["data"]["left"])
                order_event['filled_price'] = float(response["data"]["price"])
                order_event['client_id'] = response["data"]["client_id"]
                order_event['order_id'] = response["data"]['order_id']
                order_event['fee'] = float(response["data"]['deal_fee'])
                self.callback["onOrder"](order_event)
        if error:
            print("查单失败",error)
            self.logger.error(error)
        return response

    async def get_order_list(self):
        params = {
            'market':self.symbol,
            'offset':100,
            "side":0,
            'limit':100,
        }
        response, error = await self._request('GET', '/perpetual/v1/order/pending', params=params, auth=1)
        if response is not None:
            for i in response['data']['records']:
                order_event = dict()
                order_event['symbol'] = self.symbol
                order_event['price'] = float(i["price"])
                order_event['amount'] = float(i["amount"])
                order_event['filled'] = float(i["amount"])-float(i["left"])
                order_event['filled_price'] = float(i["avg_price"])
                order_event['client_id'] = i["clientOid"]
                order_event['order_id'] = i['id']
                asset_fee = float(response['data']["asset_fee"])
                money_fee = float(response['data']["money_fee"])
                stock_fee = float(response['data']["stock_fee"])
                if asset_fee > 0.0: # 非amm品种
                    order_event['fee'] = asset_fee
                else: # amm品种
                    order_event['fee'] = money_fee if money_fee > 0.0 else stock_fee
                if response["data"]['status'] == 'not_deal':
                    order_event['status'] = "NEW"
                elif response["data"]['status'] in ['cancel','done']:
                    order_event['status'] = "REMOVE"
                else:
                    s = response["data"]['status']
                    self.logger.error(f"错误的订单状态 {s}")
                self.callback["onOrder"](order_event)
        if error:
            print(error)
        return response
    
    async def get_server_time(self):
        params = {}
        response = await self._request('GET', '/perpetual/api/v1/timestamp', params=params)
        return response

    async def get_account(self):
        return await self._request('GET','/perpetual/v1/asset/query', params={}, auth=1)

    async def get_market_details(self):
        return await self._request('GET',f'/perpetual/v1/market/list', params={}, auth=0)

    async def get_ticker(self):
        res ,err = await self._request('GET',f'/perpetual/v1/market/depth', params={"market":self.symbol,'merge':'0.00000001'}, auth=0)
        if res:
            ap = float(res["data"]['asks'][0][0])
            bp = float(res["data"]['bids'][0][0])
            mp = (ap+bp)*0.5
            d = {"name":self.name,'mp': mp, 'bp':bp, 'ap':ap}
            self.callback['onTicker'](d)
            return d
        if err:
            self.logger.error(err)
            return None 

    async def before_trade(self):
        # 切换杠杆
        await self.change_position_side()
        # 获取市场最新价格
        res = await self.get_ticker()
        ticker_price = res["mp"]
        if isinstance(ticker_price, float):
            self.mp_from_rest = ticker_price
        # 获取市场基本情况
        res, error = await self.get_market_details()
        if error:
            pass 
        else:
            for i in res['data']:
                if i['name'] == self.symbol:
                    self.stepSize = float(Decimal("0.1")**Decimal(i["amount_prec"]))
                    self.tickSize = float(Decimal("0.1")**Decimal(i["money_prec"]))
                    self.min_trade_amount = float(i['amount_min'])
                #### 保存交易规则信息
                exchange_info = model.ExchangeInfo()
                exchange_info.symbol = i['name']
                exchange_info.multiplier = 1
                exchange_info.tickSize = float(Decimal("0.1")**Decimal(i["money_prec"]))
                exchange_info.stepSize = float(Decimal("0.1")**Decimal(i["amount_prec"]))
                self.exchange_info[exchange_info.symbol] = exchange_info

    async def get_equity(self):
        # 更新账户
        res, err = await self.get_account()
        if err:print(err)
        if res:
            for i in res["data"]:
                if self.quote == i:
                    cash = float(res['data'][i]['available'])+ float(res['data'][i]['frozen'])+ float(res['data'][i]['margin'])+float(res['data'][i]['profit_unreal'])
                    self.callback['onEquity']({
                        self.quote:cash
                    })
                    self.cash_value = cash

    async def change_position_side(self):
        res ,err = await self._request('POST',f'/perpetual/v1/market/adjust_leverage', body={"market":self.symbol,'leverage':10,"position_type":2}, auth=1)
        if err:print(err)
        if res:print(res)

    async def go(self):
        interval = 60  # 不能太快防止占用限频
        await self.before_trade()
        await asyncio.sleep(1)
        while 1:
            try:
                # 停机信号
                if self.stop_flag:return
                # 更新账户
                res, err = await self.get_account()
                if err:print(err)
                if res:
                    for i in res["data"]:
                        if self.quote == i:
                            cash = float(res['data'][i]['available'])+float(res['data'][i]['frozen'])+float(res['data'][i]['margin'])+ float(res['data'][i]['profit_unreal'])
                            self.callback['onEquity']({
                                self.quote:cash
                            })
                            self.cash_value = cash
                # 更新仓位
                res, err = await self._request('GET', '/perpetual/v1/position/pending', params={"market":self.symbol}, auth=1)
                if err:
                    self.logger.info(err)
                if res:
                    p = model.Position()
                    for i in res['data']:
                        if i['side'] == 1:# sell
                            p.shortPos = float(i['amount'])
                            p.shortAvg = float(i['open_price'])
                        if i['side'] == 2:# buy
                            p.longPos = float(i['amount'])
                            p.longAvg = float(i['open_price'])
                    self.callback['onPosition'](p)
                await asyncio.sleep(interval)
                # 打印延迟
                self.logger.debug(f'报单延迟 平均{self.avg_delay}ms 最大{self.max_delay}ms')
            except:
                traceback.print_exc()
                await asyncio.sleep(10)

    def get_delay_info(self):
        if len(self.delays) > 100:
            self.delays = self.delays[-100:]
        if max(self.delays) > self.max_delay:self.max_delay = max(self.delays)
        self.avg_delay = round(sum(self.delays)/len(self.delays),1)
    
    async def handle_signals(self, orders):
        '''执行策略指令'''
        try:
            for order_name in orders:
                if 'Cancel' in order_name:
                    # cid = orders[order_name][0]
                    oid = orders[order_name][1]
                    # 只能用oid撤单
                    if oid:
                        asyncio.get_event_loop().create_task(self.cancel_order(order_id=oid))
            for order_name in orders:
                if 'Limits' in order_name:
                    for i in orders[order_name]:
                        asyncio.get_event_loop().create_task(self.take_order(
                            self.symbol,
                            i[0],
                            i[1],
                            i[2],
                            i[3]
                        ))
            for order_name in orders:
                if 'Check' in order_name:
                    # cid = orders[order_name][0]
                    oid = orders[order_name][1]
                    # 只能用oid查单
                    if oid:
                        asyncio.get_event_loop().create_task(self.check_order(order_id=oid))
        except Exception as e:
            traceback.print_exc()
            self.logger.error("执行信号出错"+str(e))
            await asyncio.sleep(0.1)